An adaptive algorithm to accelerate multi-parameter Monte Carlo computations

Hitzl, Donald L.; Zele, Frank

doi:10.1090/qam/99623

Authors: Donald L. Hitzl and Frank Zele
Journal: Quart. Appl. Math. 39 (1981), 329-340
DOI: https://doi.org/10.1090/qam/99623
MathSciNet review: QAM99623
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Abstract | References | Additional Information

Abstract: Estimator expansions in terms of orthonormal Hermite polynomials show particular promise for variance reduction in Monte Carlo computer simulations. This paper briefly describes some new adaptive refinements to the basic variance reduction procedure so that the acceleration towards convergence of multi-parameter Monte Carlo computations is further improved. Simulation results using the adaptive algorithm are presented for a five-parameter model problem.

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